OPTIMAL LIQUIDATION IN A LIMIT ORDER BOOK FOR A RISK-AVERSE INVESTOR

DOI10.1111/mafi.12033zbMath1314.91250OpenAlexW1557794357MaRDI QIDQ2927947

Arne Løkka

Publication date: 5 November 2014

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/mafi.12033

zbMATH Keywords

singular controloptimal liquidationoptimal executionlimit order bookCARA utilitydiscontinuous intervention boundary

Mathematics Subject Classification ID

Applications of optimal control and differential games (49N90) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (7)

Equilibrium Model of Limit Order Books: A Mean-Field Game View ⋮ A discrete-time optimal execution problem with market prices subject to random environments ⋮ Stability for gains from large investors' strategies in \(M_{1}/J_{1}\) topologies ⋮ The calculus of variations for processes with independent increments ⋮ Finite horizon optimal execution with bounded rate of transaction ⋮ Optimal Execution with Multiplicative Price Impact ⋮ OPTIMAL LIQUIDATION TRAJECTORIES FOR THE ALMGREN–CHRISS MODEL

Cites Work

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• Hedging and Portfolio Optimization in Financial Markets with a Large Trader
• Order Book Resilience, Price Manipulation, and the Positive Portfolio Problem
• Optimal execution strategies in limit order books with general shape functions
• Price Manipulation and Quasi-Arbitrage

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